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Regular version of the site
ФКН

Research Seminar by Johannes Ledolter (University of Iowa)

On Monday, June 15 at 4.40 pm, room 3211 (Shabolovka st., 26) ICEF will hold the Research Seminar.
Speaker: Johannes Ledolter (University of Iowa)
Theme: "Forecasting Simultaneously High-Dimensional Time Series: A Robust Model-Based Clustering Approach"

Abstract: This paper considers the problem of forecasting high-dimensional time series. It employs a robust clustering approach to perform classification of the component series. Each series within a cluster is assumed to follow the same model and the data are then pooled for estimation. The classification is model-based and robust to outlier contamination. The robustness is achieved by using the intrinsic mode functions of the Hilbert–Huang transform at lower frequencies. These functions are found to be robust to outlier contamination. The paper also compares out-of-sample forecast performance of the proposed method with several methods available in the literature. The other forecasting methods considered include vector autoregressive models with=without LASSO, group LASSO, principal component regression, and partial least squares. The proposed method is found to perform well in out-of-sample forecasting of the monthly unemployment rates of 50 US states. Copyright © 2013 John Wiley & Sons, Ltd.

Everyone interested is welcome to attend!

Pass can be ordered by:
tel. (495)772-95-90*26090
e-mail: vzheleznov@hse.ru
contact: Zheleznov Slava 


Forthcoming seminars

Past seminar